| 书目名称 | Quantitative Portfolio Management | | 副标题 | with Applications in | | 编辑 | Pierre Brugière | | 视频video | | | 概述 | Includes exercises based on exam questions.Illustrates and expresses the main results in plain language understandable by the pure financier.Details efficient web data extraction techniques.Enables th | | 丛书名称 | Springer Texts in Business and Economics | | 图书封面 |  | | 描述 | .This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way...All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data...This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and stati | | 出版日期 | Book 2020 | | 关键词 | Markowitz theory; factor models; APT models; principal component analysis; Python code; 91G10, 91D70; risk | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-030-37740-3 | | isbn_softcover | 978-3-030-37742-7 | | isbn_ebook | 978-3-030-37740-3Series ISSN 2192-4333 Series E-ISSN 2192-4341 | | issn_series | 2192-4333 | | copyright | Springer Nature Switzerland AG 2020 |
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发表于 2025-3-21 16:28:18
